Well....normally Fusion *does* save the alpha-channel to any format supporting alpha by default.
Check your saver's format-tab.
Is "Save Alpha" checked?
If yes, view the saver and in the vieport press "a" to view the alpha channel.
(press "c" to return to color)
Is there anything in the alpha channel?
And of course (the most important question...

) why would you ever export tifs to do the comping in AE,
rather than doing it directly in Fusion?...

Cheers.
Eric.
my hovercraft is full of eels.